Having an unlocked phone and using local SIMs is the best way, but there may be other options.
Are you calling lots of different people? You may try using Vonage (
www.vonage.com), a VOIP. You would have to carry the box with you, but calls made from anywhere in the world would be as if you made them from back in the US. You would need to have broadband access and you could carry a small conventional phone. It might save you a bundle, though it would be a little inconvenient. Another provider is Skype (
www.skype.com). That requires software and a headset, but you do not need a box or a phone. It does require a broadband connection.
I know ATT and Cingular have international roaming, but it is still expensive in comparison to using local SIMs. T-Mobile will unlock your phone for free as long as you have had it a few months with them, so you can try using local SIMs. Could you have a small file with the SIMs organized in it? Or else, you could just buy them in small denominations and dispose of them once you leave the country. I think it would be easiest to have a small organizer and just have the SIMs for each country with you.
If another carrier has much better rates, you can switch and port your number over. Even if it entails breaking your contract, the fee is so small in comparison to your monthly bill, in the end you will end up ahead.